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Generalized Polynomial Chaos-Based Extended Kalman Filter: Improvement and Expansion

[+] Author Affiliations
Jeremy Kolansky, Corina Sandu

Virginia Tech, Blacksburg, VA

Paper No. DETC2013-12082, pp. V07AT10A019; 9 pages
  • ASME 2013 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 7A: 9th International Conference on Multibody Systems, Nonlinear Dynamics, and Control
  • Portland, Oregon, USA, August 4–7, 2013
  • Conference Sponsors: Design Engineering Division, Computers and Information in Engineering Division
  • ISBN: 978-0-7918-5596-6
  • Copyright © 2013 by ASME


The generalized polynomial chaos (gPC) method for propagating uncertain parameters through dynamical systems (previously developed at Virginia Tech) has been shown to be very computationally efficient. This method seems also to be ideal for real-time parameter estimation when merged with the Extended Kalman Filter (EKF). The resulting technique is shown in the present paper for systems in state-space representations, and then expanded to systems in regressions formulations. Due to the way the filter interacts with the polynomial chaos expansions, the covariance matrix is forced to zero in finite time. This problem shows itself as an inability to perform state estimations and causes the parameters to converge to incorrect values for state space systems. In order to address this issue, improvements to the method are implemented and the updated method is applied to both state space and regression systems. The resultant technique shows high accuracy of both state and parameter estimations.

Copyright © 2013 by ASME



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